| Heterogeneous Beliefs and Price Efficiency | |
|---|---|
| 學年 | 102 |
| 學期 | 1 |
| 出版（發表）日期 | 2014-01-01 |
| 作品名稱 | Heterogeneous Beliefs and Price Efficiency |
| 作品名稱（其他語言） | |
| 著者 | 林建志;林豐騰;廖美華 |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Information and Optimization Sciences 35(1). pp.1-15 |
| 摘要 | An asset pricing formula is derived under an economic model incorporating investors’ heterogeneous beliefs. Applying this pricing formula, the autocorrelation of the asset returns is computed. An analysis of the autocorrelation reveals the influence of agents’ heterogeneous beliefs on asset price efficiency. Using the dataset coming from the Weighted Index of the Taiwan Stock Exchange, we test whether the heterogeneous beliefs between the institutional investors in the Taiwan stock market have a significant effect on price efficiency. |
| 關鍵字 | Autocorrelation;heterogeneous beliefs;price efficiency;state-price density;trading volume |
| 語言 | zh_TW |
| ISSN | |
| 期刊性質 | 國內 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96210 ) |
| SDGS | 尊嚴就業與經濟發展 |
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